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On the Fundamental Solution of the Kolmogorov–Shiryaev Equation · Study

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ChapterOn the Fundamental Solution of the Kolmogorov–Shiryaev Equation

Goran Peškir2006

Chapter2006

On the Fundamental Solution of the Kolmogorov–Shiryaev Equation

30 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Probability and Statistical Research Differential Equations and Boundary Problems

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References

1995The value of an Asian option 2001On Some Exponential Functionals of Brownian Motion 1992On some exponential functionals of Brownian motion 2001The integral of geometric Brownian motion 2002Quickest Detection Problems in the Technical Analysis of the Financial Data 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Options 2006The Wiener disorder problem with finite horizon 2004A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004The log-normal approximation in financial and other computationsarticle · 4 shared references 2007Prices and sensitivities of Asian options: A surveyarticle · 4 shared references 2006The Wiener disorder problem with finite horizonarticle · 4 shared references 2004Spectral Expansions for Asian (Average Price) Optionsarticle · 3 shared references 2004Bessel Processes, the Integral of Geometric Brownian Motion, and Asian Optionsarticle · 3 shared references 2004A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian optionsarticle · 3 shared references

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Year2006

Typechapter

Published2006-01-01

VenueSpringer eBooks

Languageen

Citations30

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/978-3-540-30788-4_26

openalex_workW1536128413

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